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Pricing vulnerable options with jump clustering
Ma, Yong; Shrestha, Keshab; Xu, Weidong - In: The journal of futures markets 37 (2017) 12, pp. 1155-1178
Persistent link: https://www.econbiz.de/10011951026
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Price monotonicity violations during stock market crashes : evidence from the SSE 50 ETF options market
Luo, Xingguo; Ryu, Doojin; Tao, Libin; Ye, Chuxin - In: The journal of futures markets 44 (2024) 3, pp. 533-554
Persistent link: https://www.econbiz.de/10014475508
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Oil price dynamics (2002 - 2006)
Askari, Hossein; Krichene, Noureddine - In: Energy economics 30 (2008) 5, pp. 2134-2153
Persistent link: https://www.econbiz.de/10003773637
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An empirical examination of the pricing of exchange-traded barrier options
Easton, Steve; Gerlach, Richard; Graham, Melissa; Tuyl, … - In: The journal of futures markets 24 (2004) 11, pp. 1049-1064
Persistent link: https://www.econbiz.de/10002248656
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A Skellam market model for loan prime rate options
Chen, Zhanyu; Zhang, Kai; Zhao, Hongbiao - In: The journal of futures markets 42 (2022) 3, pp. 525-551
Persistent link: https://www.econbiz.de/10012817951
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Option pricing with the realized GARCH model : an analytical approximation approach
Huang, Zhuo; Wang, Tianyi; Hansen, Peter Reinhard - In: The journal of futures markets 37 (2017) 4, pp. 328-358
Persistent link: https://www.econbiz.de/10011950674
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Volatility model applications in China's SSE50 options market
Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
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Valuation of carbon emission allowance options under an open trading phase
Fang, Mingyu; Tan, Ken Seng; Wirjanto, Tony S. - In: Energy economics 131 (2024), pp. 1-12
This paper presents valuation models of emission allowance options under an emission trading scheme, operating in an open trading phase, where unused allowances are banked to subsequent phases without any limit. Empirical studies are carried out to show that allowance option prices exhibit...
Persistent link: https://www.econbiz.de/10015046272
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Empirical analysis of political uncertainty on TAIEX stock market
Wang, Yi-Hsien; Lin, Chin-tsai - In: Applied economics letters 15 (2008) 7/9, pp. 545-550
Persistent link: https://www.econbiz.de/10003741301
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Can exchange seat prices predict financial market volatility?
You, Taewoo; Holder, Mark E. - In: The journal of futures markets 28 (2008) 12, pp. 1206-1221
Persistent link: https://www.econbiz.de/10003773149